How to construct a lower risk FOF based on correlation network? The method of principal component risk parity asset allocation
DOI10.1007/S11424-023-2296-4zbMATH Open1546.9123MaRDI QIDQ6595011
Junting Zhang, Wei Bai, [[Person:6050772|Author name not available (Why is that?)]], Haifei Liu
Publication date: 29 August 2024
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios
- Equal risk bounding is better than risk parity for portfolio selection
- Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
- Risk parity with expectiles
- Research on the portfolio model based on mean-MF-DCCA under multifractal feature constraint
- Optimal Portfolio Diversification Using the Maximum Entropy Principle
- Least-squares approach to risk parity in portfolio selection
- Risk parity portfolios with risk factors
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